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New Developments in Time Series Econometrics

Dufour, Jean-Marie - 1994

This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the...

Persistent link: https://www.econbiz.de/10013519849

Exchange rates and commodity prices : measuring causality at multiple horizons

Zhang, Hui Jun; Dufour, Jean-Marie; Galbraith, John W. - In: Journal of empirical finance 36 (2016), pp. 100-120

Persistent link: https://www.econbiz.de/10011662765

Invariant tests based on M-estimators, estimating functions, and the generalized method of moments

Dufour, Jean-Marie; Trognon, Alain; Tuvaandorj, Purevdorj - In: Econometric reviews 36 (2017) 1/3, pp. 182-204

Persistent link: https://www.econbiz.de/10011795165

Identification-robust moment-based tests for Markov switching in autoregressive models

Dufour, Jean-Marie; Luger, Richard - In: Econometric reviews 36 (2017) 6/9, pp. 713-727

Persistent link: https://www.econbiz.de/10011795382

Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves

Kang, Byunguk; Dufour, Jean-Marie - In: Econometric reviews 40 (2021) 7, pp. 657-687

Persistent link: https://www.econbiz.de/10012624528

A simple efficient moment-based estimator for the stochastic volatility model

Ahsan, Nazmul; Dufour, Jean-Marie - 2019

Persistent link: https://www.econbiz.de/10012244154

Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors

Coudin, Elise; Dufour, Jean-Marie - In: Econometric reviews 39 (2020) 8, pp. 763-791

Persistent link: https://www.econbiz.de/10012295580

Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory

Doko Tchatoka, Firmin; Dufour, Jean-Marie - In: Journal of econometrics 218 (2020) 2, pp. 390-418

Persistent link: https://www.econbiz.de/10012483007

Permutation tests for comparing inequality measures

Dufour, Jean-Marie; Flachaire, Emmanuel; Khalaf, Lynda - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 457-470

Persistent link: https://www.econbiz.de/10012178188

Simple estimators and inference for higher-order stochastic volatility models

Ahsan, Nazmul; Dufour, Jean-Marie - In: Journal of econometrics 224 (2021) 1, pp. 181-197

Persistent link: https://www.econbiz.de/10013275370

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